LAN property for the drift parameter of ergodic diffusions with jumps from discrete observations
Báo cáo viên: Trần Ngọc Khuê

Thời gian: 14h Thứ 5, ngày 15 tháng 11 năm 2018

Địa điểm: Phòng 302, Nhà A5, Viện Toán học

Tóm tắt: In this talk, we consider a multidimensional diffusions with jumps driven by a Brownian motion and a Poisson random measure associated with a Lévy process with possibly infinite Lévy measure, whose drift coefficient depends on a multidimensional unknown parameter. Under some appropriate assumptions on the coefficients of the equation, the ergodicity of the solution and the integrability of the Lévy measure, we prove the local asymptotic normality (LAN) property from high-frequency discrete observations with increasing observation window. To obtain the result, we use the Malliavin calculus techniques and the Girsanov change of measures.

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